The PDEs and Numerical Scheme for Derivatives under Uncertainty Volatility
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DOI: 10.1155/2019/1268301
Abstract: We use the stochastic differential equations (SDE) driven by G-Brownian motion to describe the basic assets (such as stocks) price processes with volatility uncertainty. We give the estimation method of the SDE’s parameters. Then, by… read more here.
Keywords: uncertainty; volatility; pdes numerical; numerical scheme ... See more keywords